Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.23.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The Company’s assets and liabilities that were measured at fair value on a recurring basis were as follows:
Fair Value Measured as of December 31, 2022
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds (i) $ 31,728  $ —  $ —  $ 31,728 
U.S. Treasury securities (ii) 24,701  —  —  24,701 
Corporate bonds (ii) —  23,513  —  23,513 
Total financial assets $ 56,429  $ 23,513  $ —  $ 79,942 
Liabilities
Common stock warrant liabilities (Public) (iii) $ 1,748  $ —  $ —  $ 1,748 
Common stock warrant liabilities (Private Placement) (iii) —  —  888  888 
Common stock warrant liabilities (2022 Private Warrant) (iii) —  —  109  109 
Contingent earnout liabilities —  —  17,414  17,414 
Total financial liabilities $ 1,748  $ —  $ 18,411  $ 20,159 
Fair Value Measured as of December 31, 2021
Level 1 Level 2 Level 3 Total
(In thousands)
Assets
Money market funds (i) $ 207,471  $ —  $ —  $ 207,471 
U.S. Treasury securities (ii) 8,141  —  —  8,141 
Corporate bonds (ii) —  7,342  —  7,342 
Total financial assets $ 215,612  $ 7,342  $ —  $ 222,954 
Liabilities
Common stock warrant liabilities (Public) (iii) $ 14,318  $ —  $ —  $ 14,318 
Common stock warrant liabilities (Private Placement) (iii) —  —  7,387  7,387 
Contingent earnout liabilities —  —  111,487  111,487 
Total financial liabilities $ 14,318  $ —  $ 118,874  $ 133,192 
(i)     Included in cash and cash equivalents on the consolidated balance sheets.
(ii)     Included in short-term investments on the consolidated balance sheets.
(iii)    Included in warrant liabilities on the consolidated balance sheets.
The aggregate fair value of the Company’s money market funds approximated amortized cost and, as such, there were no unrealized gains or losses on money market funds as of December 31, 2022 and 2021. Realized gains and losses, net of tax, were not material for any of the periods presented.
The following table presents a summary of the changes in the fair value of the Company’s Level 3 financial instruments:
Redeemable convertible preferred stock warrant liabilities Private placement warrant liabilities 2022 Private Warrant Contingent earnout liabilities
(In thousands)
Fair value as of January 1, 2022
 $ —  $ 7,387  $ —  $ 111,487 
Issuance of warrants —  —  170  — 
Change in fair value —  (6,499) (61) (94,073)
Fair value as of December 31, 2022
 $ —  $ 888  $ 109  $ 17,414 
Fair value as of January 1, 2021
 $ 181  $ —  $ —  $ — 
Private placement warrant liabilities acquired as part of the reverse recapitalization —  7,164  —  — 
Contingent earnout liabilities recognized upon the closing of the reverse recapitalization —  —  —  120,763 
Change in fair value 718  223  —  (9,276)
Exercise of warrants (899) —  —  — 
Fair value as of December 31, 2021
 $ —  $ 7,387  $ —  $ 111,487 
The fair value of the private placement warrant liability, the 2022 Private Warrant (see Note 12, Equity Instruments), redeemable convertible preferred stock warrant liability and contingent earnout liability are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy.
In determining the fair value of the private placement warrant liability the Company used the the Monte Carlo Simulation Model that assumes optimal exercise of the Company’s redemption option at the earliest possible date.
In determining the fair value of the redeemable convertible preferred stock warrant liability, the Company used the Black-Scholes option pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate and dividend yield (see Note 12, Equity Instruments).
In determining the fair value of the 2022 Private Warrant, the Company used the Black-Scholes option pricing model to estimate the fair value using unobservable inputs including the expected term, expected volatility, risk-free interest rate and dividend yield (see Note 12, Equity Instruments).
In determining the fair value of the contingent earnout liability, the Company used the Monte Carlo simulation valuation model using a distribution of potential outcomes on a weekly basis over the applicable earnout period using the most reliable information available (see Note 12, Equity Instruments).